Where do downloaded files go on HTC Incredible?

I have WD2GO set up fine and wanted to get a file while I was out.  Found the file and downloaded it, but I can’t find it.  Its not in downloads where my browsers show it, I installed an app to search my drive, and its not there.  How do I download so I can find the file?

Just in case, the only version that allow you to save files to the internal phone memory is the pro version, with the free version you can only save the pictures and nothing more.